//+------------------------------------------------------------------+ //| pca_net.mq5 | //| Copyright 2022, DNG | //| https://www.mql5.com/ru/users/dng | //+------------------------------------------------------------------+ #property copyright "Copyright 2022, DNG" #property link "https://www.mql5.com/ru/users/dng" #property version "1.00" //+------------------------------------------------------------------+ //| Includes | //+------------------------------------------------------------------+ #include "..\..\NeuroNet_DNG\NeuroNet.mqh" #include <Trade\SymbolInfo.mqh> #include <Indicators\Oscilators.mqh> //--- #define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+IntegerToString(HistoryBars,3)+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0)) #define FileName_AE Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_ae" #define CSV __FILE__+".csv" //--- enum ENUM_SIGNAL { Sell = -1, Undefine = 0, Buy = 1 }; //+------------------------------------------------------------------+ //| input parameters | //+------------------------------------------------------------------+ input int StudyPeriod = 2; //Study period, years /*input*/ uint HistoryBars = 40; //Depth of history ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT; //--- input group "---- RSI ----" input int RSIPeriod = 14; //Period input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price //--- input group "---- CCI ----" input int CCIPeriod = 14; //Period input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price //--- input group "---- ATR ----" input int ATRPeriod = 14; //Period //--- input group "---- MACD ----" input int FastPeriod = 12; //Fast input int SlowPeriod = 26; //Slow input int SignalPeriod = 9; //Signal input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ CSymbolInfo *Symb; MqlRates Rates[]; CNet *Net; CBufferFloat *TempData; CiRSI *RSI; CiCCI *CCI; CiATR *ATR; CiMACD *MACD; CNet *AE; CBufferFloat Fractals; //--- float dError; float dUndefine; float dForecast; double dPrevSignal; datetime dtStudied; bool bEventStudy; //+------------------------------------------------------------------+ //| Expert initialization function | //+------------------------------------------------------------------+ int OnInit() { //--- Symb = new CSymbolInfo(); if(CheckPointer(Symb) == POINTER_INVALID || !Symb.Name(_Symbol)) return INIT_FAILED; Symb.Refresh(); //--- RSI = new CiRSI(); if(CheckPointer(RSI) == POINTER_INVALID || !RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice)) return INIT_FAILED; //--- CCI = new CiCCI(); if(CheckPointer(CCI) == POINTER_INVALID || !CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice)) return INIT_FAILED; //--- ATR = new CiATR(); if(CheckPointer(ATR) == POINTER_INVALID || !ATR.Create(Symb.Name(), TimeFrame, ATRPeriod)) return INIT_FAILED; //--- MACD = new CiMACD(); if(CheckPointer(MACD) == POINTER_INVALID || !MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice)) return INIT_FAILED; //--- AE = new CNet(NULL); if(CheckPointer(AE) == POINTER_INVALID) return INIT_FAILED; if(!AE.Load(FileName_AE + ".nnw", dError, dUndefine, dForecast, dtStudied, false)) return INVALID_HANDLE; //--- if(!AE.GetLayerOutput(0, TempData)) return INIT_FAILED; HistoryBars = TempData.Total() / 12; //--- Net = new CNet(NULL); ResetLastError(); if(CheckPointer(Net) == POINTER_INVALID || !Net.Load(FileName + ".nnw", dError, dUndefine, dForecast, dtStudied, false)) { printf("%s - %d -> Error of read %s prev Net %d", __FUNCTION__, __LINE__, FileName + ".nnw", GetLastError()); CArrayObj *Topology = new CArrayObj(); if(CheckPointer(Topology) == POINTER_INVALID) return INIT_FAILED; if(!AE.GetLayerOutput(5, TempData)) return INIT_FAILED; //--- 0 CLayerDescription *desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = TempData.Total(); desc.type = defNeuronBaseOCL; desc.optimization = ADAM; desc.activation = None; if(!Topology.Add(desc)) return INIT_FAILED; //--- 1 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = 300; desc.type = defNeuron; desc.activation = LReLU; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 2 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = 300; desc.type = defNeuron; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 3 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = 300; desc.type = defNeuron; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 4 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = 3; desc.type = defNeuron; desc.activation = SIGMOID; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; delete Net; Net = new CNet(Topology); delete Topology; if(CheckPointer(Net) == POINTER_INVALID) return INIT_FAILED; dError = -1; dUndefine = 0; dForecast = 0; dtStudied = 0; } //--- bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * (dForecast >= 70 ? 1 : 10))), dtStudied)), 0, "Init"); //--- return(INIT_SUCCEEDED); } //+------------------------------------------------------------------+ //| Expert deinitialization function | //+------------------------------------------------------------------+ void OnDeinit(const int reason) { //--- if(CheckPointer(Symb) != POINTER_INVALID) delete Symb; //--- if(CheckPointer(AE) != POINTER_INVALID) delete AE; //--- if(CheckPointer(RSI) != POINTER_INVALID) delete RSI; //--- if(CheckPointer(CCI) != POINTER_INVALID) delete CCI; //--- if(CheckPointer(ATR) != POINTER_INVALID) delete ATR; //--- if(CheckPointer(MACD) != POINTER_INVALID) delete MACD; //--- if(CheckPointer(Net) != POINTER_INVALID) delete Net; if(CheckPointer(TempData) != POINTER_INVALID) delete TempData; } //+------------------------------------------------------------------+ //| Expert tick function | //+------------------------------------------------------------------+ void OnTick() { //--- if(!bEventStudy && (dPrevSignal == -2 || dtStudied < SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE))) bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * (dForecast >= 70 ? 1 : 10))), dtStudied)), 0, "New Bar"); //--- Comment(StringFormat("K7>2 A>1KB8O %s; PrevSignal %.5f; >45;L >1CG5=0 %s -> %s", (string)bEventStudy, dPrevSignal, TimeToString(dtStudied), TimeToString(SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE)))); } //+------------------------------------------------------------------+ //| Trade function | //+------------------------------------------------------------------+ void OnTrade() { //--- } //+------------------------------------------------------------------+ //| TradeTransaction function | //+------------------------------------------------------------------+ void OnTradeTransaction(const MqlTradeTransaction& trans, const MqlTradeRequest& request, const MqlTradeResult& result) { //--- } //+------------------------------------------------------------------+ //| ChartEvent function | //+------------------------------------------------------------------+ void OnChartEvent(const int id, const long &lparam, const double &dparam, const string &sparam) { //--- if(id == 1001) { Net.TrainMode(true); Train(lparam); bEventStudy = false; OnTick(); } } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void Train(datetime StartTrainBar = 0) { int count = 0; //--- MqlDateTime start_time; TimeCurrent(start_time); start_time.year -= StudyPeriod; if(start_time.year <= 0) start_time.year = 1900; datetime st_time = StructToTime(start_time); dtStudied = MathMax(StartTrainBar, st_time); ulong last_tick = 0; //--- double prev_er = DBL_MAX; datetime bar_time = 0; bool stop = IsStopped(); CArrayDouble *loss = new CArrayDouble(); //--- int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates); if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars)) { ExpertRemove(); return; } if(!ArraySetAsSeries(Rates, true)) { ExpertRemove(); return; } RSI.Refresh(OBJ_ALL_PERIODS); CCI.Refresh(OBJ_ALL_PERIODS); ATR.Refresh(OBJ_ALL_PERIODS); MACD.Refresh(OBJ_ALL_PERIODS); //--- MqlDateTime sTime; int total = (int)(bars - MathMax(HistoryBars, 0) - 300); do { prev_er = dError; stop = IsStopped(); bool add_loop = false; //--- for(int it = total; it >= 0 && !stop; it--) { int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total)) + 300; TempData.Clear(); int r = i + (int)HistoryBars; if(r > bars) continue; //--- for(int b = 0; b < (int)HistoryBars; b++) { int bar_t = r - b; double open = Rates[bar_t].open; TimeToStruct(Rates[bar_t].time, sTime); double rsi = RSI.Main(bar_t); double cci = CCI.Main(bar_t); double atr = ATR.Main(bar_t); double macd = MACD.Main(bar_t); double sign = MACD.Signal(bar_t); if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE) continue; //--- if(!TempData.Add((float)(Rates[bar_t].close - open)) || !TempData.Add((float)(Rates[bar_t].high - open)) || !TempData.Add((float)(Rates[bar_t].low - open)) || !TempData.Add((float)Rates[bar_t].tick_volume / 1000.0f) || !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) || !TempData.Add((float)rsi) || !TempData.Add((float)cci) || !TempData.Add((float)atr) || !TempData.Add((float)macd) || !TempData.Add((float)sign)) break; } if(TempData.Total() < (int)HistoryBars * 12) continue; AE.feedForward(TempData, 12, true, (CBufferFloat*)NULL); if(!AE.GetLayerOutput(5, TempData)) break; Net.feedForward(TempData, 2, true, (CBufferFloat*)NULL); Net.getResults(TempData); //--- float sum = 0; for(int res = 0; res < 3; res++) { float temp = exp(TempData.At(res)); sum += temp; TempData.Update(res, temp); } for(int res = 0; (res < 3 && sum > 0); res++) TempData.Update(res, TempData.At(res) / sum); //--- switch(TempData.Argmax()) { case 1: dPrevSignal = (TempData[1] != TempData[2] ? TempData[1] : 0); break; case 2: dPrevSignal = -TempData[2]; break; default: dPrevSignal = 0; break; } if((GetTickCount64() - last_tick) >= 250) { string s = StringFormat("Study -> Era %d -> %.2f -> Undefine %.2f%% foracast %.2f%%\n %d of %d -> %.2f%% \nError %.2f\n%s -> %.2f ->> Buy %.5f - Sell %.5f - Undef %.5f", count, dError, dUndefine, dForecast, it + 1, total, (double)(it + 1.0) / (total) * 100, Net.getRecentAverageError(), EnumToString(DoubleToSignal(dPrevSignal)), dPrevSignal, TempData[1], TempData[2], TempData[0]); Comment(s); last_tick = GetTickCount64(); } stop = IsStopped(); if(!stop) { TempData.Clear(); bool sell = (Rates[i - 1].high <= Rates[i].high && Rates[i + 1].high < Rates[i].high); bool buy = (Rates[i - 1].low >= Rates[i].low && Rates[i + 1].low > Rates[i].low); TempData.Add(!(buy || sell)); TempData.Add(buy); TempData.Add(sell); Net.backProp(TempData, NULL, NULL); ENUM_SIGNAL signal = DoubleToSignal(dPrevSignal); if(signal != Undefine) { if((signal == Sell && sell) || (signal == Buy && buy)) dForecast += (100 - dForecast) / Net.recentAverageSmoothingFactor; else dForecast -= dForecast / Net.recentAverageSmoothingFactor; dUndefine -= dUndefine / Net.recentAverageSmoothingFactor; } else { if(!(buy || sell)) dUndefine += (100 - dUndefine) / Net.recentAverageSmoothingFactor; } } } count++; for(int i = 0; i < 300; i++) { TempData.Clear(); int r = i + (int)HistoryBars; if(r > bars) continue; //--- for(int b = 0; b < (int)HistoryBars; b++) { int bar_t = r - b; double open = Rates[bar_t].open; TimeToStruct(Rates[bar_t].time, sTime); double rsi = RSI.Main(bar_t); double cci = CCI.Main(bar_t); double atr = ATR.Main(bar_t); double macd = MACD.Main(bar_t); double sign = MACD.Signal(bar_t); if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE) continue; //--- if(!TempData.Add((float)(Rates[bar_t].close - open)) || !TempData.Add((float)(Rates[bar_t].high - open)) || !TempData.Add((float)(Rates[bar_t].low - open)) || !TempData.Add((float)Rates[bar_t].tick_volume / 1000.0f) || !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) || !TempData.Add((float)rsi) || !TempData.Add((float)cci) || !TempData.Add((float)atr) || !TempData.Add((float)macd) || !TempData.Add((float)sign)) break; } if(TempData.Total() < (int)HistoryBars * 12) continue; AE.feedForward(TempData, 12, true, (CBufferFloat*)NULL); if(!AE.GetLayerOutput(5, TempData)) break; Net.feedForward(TempData, 2, true, (CBufferFloat*)NULL); Net.getResults(TempData); //--- float sum = 0; for(int res = 0; res < 3; res++) { float temp = exp(TempData.At(res)); sum += temp; TempData.Update(res, temp); } for(int res = 0; (res < 3 && sum > 0); res++) TempData.Update(res, TempData.At(res) / sum); //--- switch(TempData.Argmax()) { case 1: dPrevSignal = (TempData[1] != TempData[2] ? TempData[1] : 0); break; case 2: dPrevSignal = (TempData[1] != TempData[2] ? -TempData[2] : 0); break; default: dPrevSignal = 0; break; } if(DoubleToSignal(dPrevSignal) == Undefine) DeleteObject(Rates[i].time); else DrawObject(Rates[i].time, dPrevSignal, Rates[i].high, Rates[i].low); } if(!stop) { dError = Net.getRecentAverageError(); Net.Save(FileName + ".nnw", dError, dUndefine, dForecast, Rates[0].time, false); printf("Era %d -> error %.2f %% forecast %.2f", count, dError, dForecast); ChartScreenShot(0, FileName + IntegerToString(count) + ".png", 750, 400); int h = FileOpen(FileName + ".csv", FILE_READ | FILE_WRITE | FILE_CSV); if(h != INVALID_HANDLE) { FileSeek(h, 0, SEEK_END); FileWrite(h, lr, count, dError, dUndefine, dForecast); FileFlush(h); FileClose(h); } } } while(!(dError < 0.01 && (prev_er - dError) < 0.01) && !stop); //--- Comment("Write dinamic of error"); int handle = FileOpen("ae_loss.csv", FILE_WRITE | FILE_CSV | FILE_ANSI, ",", CP_UTF8); if(handle == INVALID_HANDLE) { PrintFormat("Error of open loss file: %d", GetLastError()); delete loss; return; } for(int i = 0; i < loss.Total(); i++) if(FileWrite(handle, loss.At(i)) <= 0) break; FileClose(handle); PrintFormat("The dynamics of the error change is saved to a file %s\\%s", TerminalInfoString(TERMINAL_DATA_PATH), "ae_loss.csv"); delete loss; Comment(""); ExpertRemove(); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ ENUM_SIGNAL DoubleToSignal(double value) { value = NormalizeDouble(value, 1); if(MathAbs(value) > 1 || MathAbs(value) <= 0) return Undefine; if(value > 0) return Buy; else return Sell; //--- return Undefine; } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void DrawObject(datetime time, double signal, double high, double low) { double price = 0; int arrow = 0; color clr = 0; ENUM_ARROW_ANCHOR anch = ANCHOR_BOTTOM; switch(DoubleToSignal(signal)) { case Buy: price = low; arrow = 217; clr = clrBlue; anch = ANCHOR_TOP; break; case Sell: price = high; arrow = 218; clr = clrRed; anch = ANCHOR_BOTTOM; break; } if(price == 0 || arrow == 0) return; //--- string name = TimeToString(time); if(ObjectFind(0, name) < 0) { ResetLastError(); if(!ObjectCreate(0, name, OBJ_ARROW, 0, time, 0)) { printf("Error of creating object %d", GetLastError()); return; } } //printf("%s - %d -> %s",__FUNCTION__,__LINE__,name); ObjectSetDouble(0, name, OBJPROP_PRICE, price); ObjectSetInteger(0, name, OBJPROP_ARROWCODE, arrow); ObjectSetInteger(0, name, OBJPROP_COLOR, clr); ObjectSetInteger(0, name, OBJPROP_ANCHOR, anch); ObjectSetString(0, name, OBJPROP_TOOLTIP, EnumToString(DoubleToSignal(signal)) + " " + DoubleToString(signal, 5)); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void DeleteObject(datetime time) { string name = TimeToString(time); if(ObjectFind(0, name) >= 0) ObjectDelete(0, name); } //+------------------------------------------------------------------+